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Results tagged with stochastic-calculus
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user 122362
Stochastic calculus provides a consistent theory of integration for stochastic processes and is used to model random systems. Its applications range from statistical physics to quantitative finance.
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Rate of convergence of generalized polynomial chaos
Let $\eta=g(\xi_1,\ldots,\xi_M)$ be a random variable expressed as a function of the random vector $\xi=(\xi_1,\ldots,\xi_M)$. Assume that $\xi_1,\ldots,\xi_M$ are absolutely continuous and independen …
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Questions about generalized Polynomial Chaos, book by Dongbin Xiu
I have some questions about Chapter 5 from the book Numerical Methods for Stochastic Computations, by Dongbin Xiu.
Theorem 5.7: Let $Y$ be a random variable and $\mathbb{E}[Y^2]<\infty$. Let $Z$ be …
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